Empirical methods in corporate finance for some time focused on the short-term market reaction to corporate announcements. The associated theories rely heavily on market imperfections such as taxes, transaction costs, information issues and contracting problems to obtain short-term market...

The q-theory explanations of asset pricing anomalies are quantitatively important. We perform a new asset pricing test by using GMM to minimize the difference between average stock returns in the data and average investment returns constructed from observable firm characteristics. Under various...

Evidence of stock return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the...

We construct a bilateral search model of the housing market in which agents differ in their flow rewards while searching. Buyers and sellers enter the market with high flow rewards, but move at a Poisson rate to a state with low flow rewards if they do not transact in the meantime. We...

Reputation systems have emerged as important sources of information in modern economies. This paper develops a model of reputation systems that puts buyers and sellers inside a stochastic environment involving asymmetric information and search frictions, and gives them a set of options with...

We study how a continuum of agents learn about disseminated information in a dynamic beauty contest model when they do not observe aggregate variables, such as prices or quantities, but randomly observe each other's actions. We solve for the market equilibrium and find that the average learning...

In this paper we examine the risk situation facing individuals in the labor market. The current consensus in the literature is that the labor income process has a large random walk component. We argue two points. First, the direct estimates of this parameter (from labor income data) appear to be...